The DNS settings are in the connection IP properties in the OS, not the browser. You are still correct, though - if you have access rights you can change them there and bypass what's set on the router.
it will solve a problem for me at one of the sites I work at where I have been put in charge
of their network (in the land of the blind ....!) and they will expect me to stop employees accessing certain sites.
Ideally you should use a web proxy, such as Websense or Bluecoat, for this as these cannot be bypassed as above if setup correctly with a properly configured firewall.
Depends on your budget and number of employees.
SD